Narrow search
Showing 1 - 10 of 1,792
Cover Image
The term structure of sharpe ratios and arbitrage-free asset pricing in continuous time
Beißner, Patrick; Rosazza Gianin, Emanuela - 2018
arbitrage-free and incomplete market setting when different pricing measures are possible. Involved pricing measures now depend …
Persistent link: https://www.econbiz.de/10011899208
Cover Image
Make-up strategies with incomplete markets and bounded rationality
Dobrew, Michael; Gerke, Rafael; Giesen, Sebastian; … - 2023
We study the impact of market incompleteness and bounded rationality on the effectiveness of make-up strategies. To do so, we simulate a heterogeneous-agent New Keynesian (HANK) model with reflective expectations and an occasionally-binding effective lower bound (ELB) on the policy rate. Our...
Persistent link: https://www.econbiz.de/10013493615
Cover Image
Financial assets returns, tax-clienteles and no-arbitrage conditions
Prisman, Eliezer Zeev - 1988
Persistent link: https://www.econbiz.de/10000762938
Cover Image
Capital controls and covered interest parity between the yen and dollar
Ito, Takatoshi - 1983
Persistent link: https://www.econbiz.de/10003528805
Cover Image
The value of the early unwind option in futures contracts with an endogenous basis
Bühler, Wolfgang; Kempf, Alexander - 1994
by arbitrage trading the underlying of the option depends contrary to standard option pricing theory on the unwind option …
Persistent link: https://www.econbiz.de/10011621485
Cover Image
Optimale Arbitragestrategien in Terminmärkten
Bühler, Wolfgang; Kempf, Alexander - 1994
Der folgende Beitrag analysiert das optimale Verhalten eines Investors, der Arbitrage zwischen Kassa- und Futuresmarkt … betreibt. Gegenüber dem Standardmodell der cash & carry-Arbitrage wird der zulässige Strategieraum des Arbitrageurs erweitert …The following article analyses the optimal arbitrage strategy of an investor in the spot and in the futures market. In …
Persistent link: https://www.econbiz.de/10011621823
Cover Image
The value of the early unwind option in futures contracts with an endogenous basis
Bühler, Wolfgang; Kempf, Alexander - 1994
Persistent link: https://www.econbiz.de/10013427973
Cover Image
Optimale Arbitragestrategien in Terminmärkten
Bühler, Wolfgang; Kempf, Alexander - 1994
Persistent link: https://www.econbiz.de/10013427985
Cover Image
In search of a theory of debt management
Faraglia, Elisa; Marcet, Albert; Scott, Andrew - 2011
Persistent link: https://www.econbiz.de/10009356696
Cover Image
House Price Fluctuations and Residential Sorting
Haavio, Markus; Kauppi, Heikki - 2009
Empirical evidence indicates local jurisdictions are internally more heterogeneous than standard sorting models predict. We develop a dynamic multi-region model, with fluctuating regional house prices, where an owner-occupying household's location choice depends on its current wealth and its...
Persistent link: https://www.econbiz.de/10012503002